Wednesday, October 1, 2014

MoneyScience News

MoneyScience News

Blog Post: TheAlephBlog: Inevitable Ineffective Banking Regulation

Posted: 01 Oct 2014 02:07 AM PDT

Photo Credit: Michael Daddinoread more...

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Vendor News: Infosys Collaborates with Stanford University to Accelerate Education and Research in Data Science and Analytics

Posted: 30 Sep 2014 10:07 PM PDT

Infosys today announced a strategic relationship with the Institute for Computational & Mathematical Engineering (ICME), Stanford University. Through this arrangement, Infosys will work with ICME to develop curriculum in Data Science and Analytics focused on real-world problem areas and will undertake joint research using Data Science to find solutions to key industry issues.

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Blog Post: Luigi.Ballabio: QuantLib notebook: implied term structures

Posted: 30 Sep 2014 10:07 PM PDT

Hello everybody.As I said in my previous post, I'm preparing for a workshop I'll be giving for Quants Hub (it's in London, October 8th, thanks for asking. Yes, you can still register.) This doesn't leave me any time for posting new book content, but since I'm rehearsing the material I thought I might as well record some of it. Thus, here is the third QuantLib notebook; this one is about implied...

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Published / Preprint: Sudden Trust Collapse in Networked Societies. (arXiv:1409.8321v1 [physics.soc-ph])

Posted: 30 Sep 2014 05:37 PM PDT

Trust is a collective, self-fulfilling phenomenon that suggests analogies with phase transitions. We introduce a stylized model for the build-up and collapse of trust in networks, which generically displays a first order transition. The basic assumption of our model is that whereas trust begets trust, panic also begets panic, in the sense that a small decrease in trust may be amplified and...

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Published / Preprint: Apparent impact: the hidden cost of one-shot trades. (arXiv:1409.8497v1 [q-fin.TR])

Posted: 30 Sep 2014 05:37 PM PDT

We study the problem of the execution of a large order in an illiquid market within the framework of a solvable Markovian model. We suppose that in order to avoid impact costs, a trader decides to execute her order through a unique trade, waiting for enough liquidity to accumulate at the best quote. We find that despite the absence of a proper price impact, such trader faces an execution cost...

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Published / Preprint: Tax Compliance and Public Goods Provision -- An Agent-based Econophysics Approach. (arXiv:1409.8528v1 [q-fin.GN])

Posted: 30 Sep 2014 05:37 PM PDT

We calculate the dynamics of tax evasion within a multi-agent econophysics model which is adopted from the theory of magnetism and previously has been shown to capture the main characteristics from agent-based based models which build on the standard Allingham and Sandmo approach. In particular, we implement a feedback of public goods provision on the decision-making of selfish agents which aim...

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Published / Preprint: Minimax estimation of jump activity in semimartingales. (arXiv:1409.8150v1 [math.ST] CROSS LISTED)

Posted: 30 Sep 2014 05:37 PM PDT

In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the strength of the jumps at high frequencies, and is of interest both in model selection and fitting, and in volatility estimation. In this paper, we give a novel estimate of the jump activity, together with corresponding confidence intervals. Our...

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Blog Post: TheFinancialServicesClub: Polish banking innovations: the best in the world? [#SIBOS]

Posted: 30 Sep 2014 04:58 PM PDT

I felt honoured to be invited to moderate the keynote discussion of Polish Banking Innovation today.  The speakers at this session included:read more...

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Blog Post: iMFdirect: Now is a Good Time to Invest in Infrastructure

Posted: 30 Sep 2014 01:09 PM PDT

By Abdul Abiad, Davide Furceri, and Petia Topalovaread more...

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Blog Post: rob_daly: Is Tech Driving Business Growth?

Posted: 30 Sep 2014 11:30 AM PDT

Is Tech Driving Business Growth?read more...

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Vendor News: September 30, 2014 - Fund Administrator adds alternative fund veteran to Asia team

Posted: 30 Sep 2014 06:07 AM PDT

Do you understand the blockchain? [#SIBOS #SIBOS2014 #Innotribe] - The Financial Services Club's blog - MoneyScience

Posted: 30 Sep 2014 03:14 AM PDT

.@Chris_Skinner - Do you understand the blockchain? [#SIBOS #SIBOS2014 #Innotribe] http://t.co/sxgQuMsji7 — moneyscience (@moneyscience) September 29, 2014

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Fintech and the Democratization of Investments - Wealth and Capital Markets Blog's blog - MoneyScience

Posted: 30 Sep 2014 03:14 AM PDT

.@Celent_Research - Fintech and the Democratization of Investments http://t.co/8XCoHk3529 — moneyscience (@moneyscience) September 29, 2014

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The evolution of wealth transmission in human populations: a stochastic model. (arXiv:1409.7512v1 [physics.soc-ph]) - Quantitative Finance at arXiv's blog - MoneyScience

Posted: 30 Sep 2014 03:14 AM PDT

Research: The evolution of wealth transmission in human populations: a stochastic model. (arXiv:1409.7512v1 [p... http://t.co/jUbuzzWbjl — moneyscience…

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First Quantum Logic Operation for an Integrated Photonic Chip | MIT Technology Review

Posted: 30 Sep 2014 03:14 AM PDT

First Quantum Logic Operation For An Integrated Photonic Chip http://t.co/sVpCxwKJzU — moneyscience (@moneyscience) September 28, 2014

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